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Hello there,

I have problems understanding how a dirichlet process is in fact a stochastic process; a random variable which changes over t \in T. What is the T here, is it the partitions of the sample space which can grow to infinity?

I would appreciate any explanations :) Thanks

flag	asked Nov 11 2010 at 21:32 pnnt 21●1

Didier Piau · Answer 1 · 2010-11-11 22:00:54Z UTC

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Could try good old Wikipedia on this...

answered Nov 11 2010 at 22:00

Didier Piau
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If Wikipedia's page is the standard explanation, then this is a fantastic question. In fact, I would love to see a tutorial on DPs for the mathematician that has mastered the basics of measure-theoretic probability. – Neil Toronto Apr 21 2011 at 15:43

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@Neil, I have no idea whether you formulated this request for real or as a jest but if you did ask seriously, a starting point could be the seminal paper Prior distributions on spaces of probability measures by T.S. Ferguson (Annals of Statistics, 1974). For a diversified and more recent list of references, see mlg.eng.cam.ac.uk/porbanz/talks/npb-tutorial.html – Didier Piau Aug 11 2011 at 23:32

Dirichlet Process as a Stochastic Process

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